Dynamic characteristics of the daily yen–dollar exchange rate

Takamitsu Kurita

Research in International Business and Finance, 2014, vol. 30, issue C, 72-82

Abstract: This paper explores various dynamic properties of daily data for the yen–dollar exchange rate. This empirical study shows that quantitative information articulated with technical trading acts as market-based indicators, thus contributing to the modelling of daily fluctuations in the exchange rate. Value-at-Risk analysis is also performed to demonstrate that allowing for data properties such as skewness is essential for representing the underlying volatility of the yen–dollar rate.

Keywords: Daily yen–dollar exchange rates; Technical trading; GARCH models; Value at Risk (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:30:y:2014:i:c:p:72-82

DOI: 10.1016/j.ribaf.2013.05.004

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